User’s Guide : Basic Data Analysis : Series : References
  
References
Aiolfi, M. and Timmermann, A. (2006), “Persistence of forecasting performance and combination strategies”, Journal of Forecasting, 24, 233–254.
Anderson, T. W. and D. A. Darling (1952). “Asymptotic Theory of Certain Goodness of Fit Criteria Based on Stochastic Processes,” Annals of Mathematical Statistics, 23, 193-212.
Anderson, T. W. and D. A. Darling (1954), “A Test of Goodness of Fit,” Journal of the American Statistical Association, 49, 765-769.
Baxter, Marianne and Robert G. King (1999). “Measuring Business Cycles: Approximate Band-Pass Filters For Economic Time Series,” Review of Economics and Statistics, 81, 575–593.
Bergmann, Reinhard, John Ludbrook, and Will P. J. M. Spooren (2000). “Different Outcomes of the Wilcoxon-Mann-Whitney Test From Different Statistical Packages,” The American Statistician, 45(1), 72–77.
Bowerman, Bruce L. and Richard T. O’Connell (1979). Time Series and Forecasting: An Applied Approach, New York: Duxbury Press.
Box, George E. P. and Gwilym M. Jenkins (1976). Time Series Analysis: Forecasting and Control, Revised Edition, Oakland, CA: Holden-Day.
Brown, M. B. and A. B. Forsythe (1974a). “Robust Tests for the Equality of Variances,” Journal of the American Statistical Association, 69, 364–367.
Brown, M. B. and A. B. Forsythe (1974b). “The Small Sample Behavior of Some Test Statistics which Test the Equality of Several Means,” Technometrics, 16, 129–132.
Chatfield, Chris, Koehler, Anne B., Ord, J. Keith, and Ralph D. Snyder (2001). “A New Look at Models for Exponential Smoothing,” The Statistician, 50, Part 2, 147–159.
Chong, Y. Y. and Hendry, D. F. (2006), “Econometric evaluation of linear macro-economic models”, Review of Economic Studies, 53, 671-690.
Christiano, Lawrence J. and Terry J. Fitzgerald (2003). “The Band Pass Filter,” International Economic Review, 44(2), 435-465.
Clemen, R. T. (1989) “Combining forecasts: A review and annotated bibliography”. International Journal of Forecasting 5, 559–581.
Cleveland, R., Cleveland, W., McRae, J., and Terpenning, I. (1990), “STL: A Seasonal-Trend Decomposition Procedure based on Loess”, Journal of Official Statistics, 6(1), 3-73.
Cochran, W. G. (1937). “Problems Arising in the Analysis of a Series of Similar Experiments,” Supplement to the Journal of the Royal Statistical Society, 4(1), 102-118.
Conover, W. J., M. E. Johnson and M. M. Johnson (1981). “A Comparative Study of Tests for Homogeneity of Variance with Applications to the Outer Continental Shelf Bidding Data,” Technometrics, 23, 351–361.
Csörgö, Sandor and Julian Faraway (1996). “The Exact and Asymptotic Distributions of Cramer-von Mises Statistics,” Journal of the Royal Statistical Society, Series B, 58, 221-234.
D’Agostino and Michael A. Stephens, (eds.) (1986). Goodness-of-Fit Techniques. New York: Marcel A. Deckker.
Dallal, Gerard E. and Leland Wilkinson (1986). “An Analytic Approximation to the Distribution of Lilliefor’s Test Statistic For Normality,” The American Statistician, 40(4), 294-296.
Davis, Charles S., and Michael A. Stephens (1989). “Empirical Distribution Function Goodness-of-Fit Tests,” Applied Statistics, 38(3), 535-582.
Dezhbaksh, Hashem (1990). “The Inappropriate Use of Serial Correlation Tests in Dynamic Linear Models,” Review of Economics and Statistics, 72, 126–132.
Diebold, Francis X., and Robert S. Mariano (2012). “Comparing Predictive Accuracy,” Journal of Business & Economic Statistics, 13, 253–263.
Durbin, J. (1970). Distribution Theory for Tests Based on the Sample Distribution Function. SIAM: Philadelphia.
Findley, David F., Brian C. Monsell, William R. Bell, Mark C. Otto, Bor-Chung Chen (1998). “New Capabilities and Methods of the X-12-ARIMA Seasonal-Adjustment Program,” Journal of Business & Economic Statistics, 16, 127–152.
Hansen, B. (2008). “Least Squares Forecast Averaging”, Journal of Econometrics, 146(2), 342-350
Harvey, Andrew C. (1990). The Econometric Analysis of Time Series, 2nd edition, Cambridge, MA: MIT Press.
Harvey, Andrew C. (1993). Time Series Models, 2nd edition, Cambridge, MA: MIT Press.
Harvey, David, Stephen Leybourne, and Paul Newbold (1997). “Testing the Equality of Prediction Mean Squared Errors,” International Journal of Forecasting, 13, 281–291.
Hodrick, R. J. and E. C. Prescott (1997). “Postwar U.S. Business Cycles: An Empirical Investigation,” Journal of Money, Credit, and Banking, 29, 1–16.
Hyndman, R, and Khandakar, Y. (2008), “Automatic Time-Series Forecasting” Journal of Statistical Software, 27, 1–22.
Hyndman, Rob J., Koehler, Anne B., Snyder, Ralph D., and Simone Grose (2002). “A State Space Framework For Automatic Forecasting Using Exponential Smoothing Methods,” International Journal of Forecasting, 18, 439–454.
Hyndman, Rob J., Koehler, Anne B., Ord, J. Keith, and Simone Grose (2008). Forecasting with Exponential Smoothing: The State Space Approach. Berlin: Springer-Verlag.
Judge, George G., W. E. Griffiths, R. Carter Hill, Helmut Lütkepohl, and Tsoung-Chao Lee (1985). The Theory and Practice of Econometrics, 2nd edition, New York: John Wiley & Sons.
Levene, H. (1960). “Robust Tests for the Equality of Variances,” in I. Olkin, S. G. Ghurye, W. Hoeffding, W. G. Madow, and H. B. Mann (eds.), Contribution to Probability and Statistics, Palo Alto, CA: Stanford University Press.
Lewis, Peter A. W. (1961). “Distribution of the Anderson-Darling Statistic,” Annals of Mathematical Statistics, 32, 1118-1124.
Ljung, G. and G. Box (1979). “On a Measure of Lack of Fit in Time Series Models,” Biometrika, 66, 265–270.
Makridakis, S., Hibon, M. (2000). “The M3-competition: Results, conclusions and implications”. International Journal of Forecasting 16, 451–476.
Neter, John, Michael H. Kutner, Christopher J. Nachtsheim, and William Wasserman (1996). Applied Linear Statistical Models, 4th Edition. Chicago: Times Mirror Higher Education Group, Inc. and Richard D. Irwin, Inc.
Ord, J. K., Koehler, A. B., and R. D. Snyder (1997). “Estimation and Prediction for a Class of Dynamic Nonlinear Statistical Models”. Journal of the American Statistical Association, 92, 1621–1629.
Ravn, Morten O. and Harald Uhlig (2002). “On Adjusting the Hodrick-Prescott Filter for the Frequency of Observations,” Review of Economics and Statistics, 84, 371-375.
Satterthwaite, F. E. (1946). “An Approximate Distribution of Estimates of Variance Components,” Biometrics Bulletin, 2(6), 110-114.
Sheskin, David J. (1997). Parametric and Nonparametric Statistical Procedures, Boca Raton: CRC Press.
Smith, J, and Yadav, S. (1994) “Forecasting Costs Incurred from Unit Differencing Fractionally Integrated Processes”, International Journal of Forecasting, 10(4), 507–514.
Sokal, Robert R. and F. James Rohlf (1995). Biometry. New York: W. H. Freeman and Company.
Stephens, Michael A. (1986). “Tests Based on EDF Statistics,” in Goodness-of-Fit Techniques, Ralph B. D’Agostino and Michael A. Stephens, (eds.). New York: Marcel A. Deckker, 97-193.
Stock, J. H., Watson, M. (2001). “A comparison of linear and nonlinear univariate models for forecasting macroeconomic time series”. In: Engle, R.F., White, H (Eds.), Festschrift in Honour of Clive Granger. Cambridge University Press, Cambridge, 1–44.
Stock, J. H., Watson, M. (2004). “Combination forecasts of output growth in a seven-country data set”. Journal of Forecasting 23, 405–430.
Timmermann, A. (2006) “Forecast Combinations”. Handbook of Economic Forecasting (Chapter 4), Elsevier.
Welch, B. L. (1951). “On the Comparison of Several Mean Values: An Alternative Approach,” Biometrika, 38, 330–336.